Henry Lau was born on October 11, 1989, in Toronto, Ontario. His father is from Hong Kong with Teochew ancestry and his mother is from Pingtung, Taiwan. He was raised in the neighbourhood of Willowdale located in the district of North York. His father works in real estate while his mother was a stay-at-home mom. He has a younger sister, Whitney (born in 1993), and an older brother, Clinton (born in 1988), who also serves as the CEO of his current label, Monster Entertainment Group. He attended Zion Heights Junior High School, then North Toronto Collegiate Institute for grade 9 and A.Y. Jackson Secondary School for the rest of his high school years.  In his last year of high school, Henry was chosen at the 2006 SM Entertainment Global Audition in Toronto; he was one of two out of three thousand applicants who were recruited. He was accepted by the University of Toronto for both music education and violin performance programs, but chose not to attend after accepting SM's offer.

Henry started learning how to play the piano from his mother at the age of four, and began taking violin lessons at the age of five. His teacher was Arkady Yanivker, a soloist and former violinist of the Toronto Symphony Orchestra. He later learned to play the electric violin in 2005. He received the Canadian Royal Conservatory of Music (RCM) Regional Gold Medal for Level 10 in violin, and has also achieved Level 10 in piano. In high school, he learned a hip hop dance style called boogaloo popping. He was heads of both the after-school violin club and popping club, where he came up with the idea of simultaneously doing both after the two clubs had conflicting meeting times.

He never expected to become a singer and did not know anything about K-pop before his friends suggested him to audition for SM. For his audition, Henry performed a Vivaldi piece on the violin while incorporating popping during the piece's fast passages, as well as a cappella singing; he received an offer from the company the following week.[14] At the time, he applied for colleges for classical music, but ultimately decided to go "down the K-pop road", as he explains, "I'll be dancing and singing, but that doesn't mean I won't be able to play the violin anymore or piano. I decided that I had to go down this road because that was the only way I could do pretty much everything."[22] He initially declined the offer because his father wanted him to go to university. After his mother was impressed during a visit to the company in South Korea, she convinced his father for him to accept the offer.[14]

Henry is able to speak four languages. Aside from speaking native English, he is fluent in Mandarin and Korean and can speak conversational Cantonese.